Solving Heterogeneous Estimating Equations with Gradient Forests

Susan Athey, Julie Tibshirani and Stefan Wager
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Julie Tibshirani: Palantir Technologies
Stefan Wager: Columbia University and Stanford University

Research Papers from Stanford University, Graduate School of Business

Abstract: Forest-based methods are being used in an increasing variety of statistical tasks, including causal inference, survival analysis, and quantile regression. Extending forest-based methods to these new statistical settings requires specifying tree-growing algorithms that are targeted to the task at hand, and the ad-hoc design of such algorithms can require considerable effort. In this paper, we develop a unified framework for the design of fast tree-growing procedures for tasks that can be characterized by heterogeneous estimating equations. The resulting gradient forest consists of trees grown by recursively applying a pre-processing step where we label each observation with gradient-based pseudo-outcomes, followed by a regression step that runs a standard CART regression split on these pseudo-outcomes. We apply our framework to two important statistical problems, non-parametric quantile regression and heterogeneous treatment effect estimation via instrumental variables, and we show that the resulting procedures considerably outperform baseline forests whose splitting rules do not take into account the statistical question at hand. Finally, we prove the consistency of gradient forests, and establish a central limit theorem. Our method will be available as an R-package, gradientForest, which draws from the ranger package for random forests.

Date: 2016-10
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:stabus:3475

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